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Re-examining the real interest rate parity hypothesis (RIPH) using panel unit root tests with asymmetry and cross-section dependence

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dc.contributor.author Çorakçı, Ayşegül
dc.contributor.author Emirmahmutoğlu, Furkan
dc.contributor.author Omay, Tolga
dc.date.accessioned 2020-03-19T10:44:16Z
dc.date.available 2020-03-19T10:44:16Z
dc.date.issued 2017-02
dc.identifier.citation Corakçı, Ayşegül; Emirmahmutoglu, Furkan; Omay, Tolga, "Re-examining the real interest rate parity hypothesis (RIPH) using panel unit root tests with asymmetry and cross-section dependence", Emprica, Vol.44, No.11, pp.91-120, (2017). tr_TR
dc.identifier.issn 0340-8744
dc.identifier.uri http://hdl.handle.net/20.500.12416/2689
dc.description.abstract This paper investigates the validity of the real interest rate parity hypothesis (RIPH) using a panel unit root approach. For this purpose, first we estimate the possible nonlinear data-generating processes of the real interest rate differential series and using these estimates determine which panel unit root test is better for analyzing the RIPH. To this end, smooth transition autoregressive and threshold autoregressive (TAR) models are estimated for two different panels of countries: G7 and post-Soviet transition economies. The results show that the data displays both strong asymmetry and high transition speed. Therefore, secondly, we propose a new panel unit root test where the alternative is stationary with asymmetric TAR adjustment, and provide their empirical power properties. Finally, we demonstrate that our newly proposed test is able to provide conclusive evidence in favor of the RIPH in contrast to the other panel unit root tests considered. tr_TR
dc.language.iso eng tr_TR
dc.publisher Springer tr_TR
dc.relation.isversionof 10.1007/s10663-015-9312-4 tr_TR
dc.rights info:eu-repo/semantics/closedAccess tr_TR
dc.subject Real Interest Rate Parity tr_TR
dc.subject Asymmetric Adjustment tr_TR
dc.subject Nonlinear Panel Unit Root tr_TR
dc.subject Cross-Section Dependence tr_TR
dc.title Re-examining the real interest rate parity hypothesis (RIPH) using panel unit root tests with asymmetry and cross-section dependence tr_TR
dc.type article tr_TR
dc.relation.journal Emprica tr_TR
dc.contributor.authorID 103299 tr_TR
dc.identifier.volume 44 tr_TR
dc.identifier.issue 11 tr_TR
dc.identifier.startpage 91 tr_TR
dc.identifier.endpage 120 tr_TR
dc.contributor.department Çankaya Üniversitesi, İktisadi İdari Bilimler Fakültesi , Ekonomi Bölümü tr_TR


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